Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0264
Annualized Std Dev 0.2317
Annualized Sharpe (Rf=0%) -0.1138

Row

Daily Return Statistics

Close
Observations 5234.0000
NAs 1.0000
Minimum -0.1020
Quartile 1 -0.0067
Median 0.0003
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0072
Maximum 0.1411
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0146
Skewness 0.0300
Kurtosis 6.9581

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0104
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0153
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.7953
Historical VaR (95%) -0.0229
Historical ES (95%) -0.0355
Modified VaR (95%) -0.0218
Modified ES (95%) -0.0322
From Trough To Depth Length To Trough Recovery
2000-06-20 2008-11-20 NA -0.7953 5220 2118 NA
2000-06-15 2000-06-16 2000-06-19 -0.0129 3 2 1
2000-06-12 2000-06-12 2000-06-13 -0.0075 2 1 1
2000-06-07 2000-06-07 2000-06-08 -0.0030 2 1 1
2000-05-31 2000-05-31 2000-06-01 -0.0011 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA 2.9 0.2 0.9 1 1.4 -3.9 -0.1 1.1 3.5
2001 1.8 -2.5 -0.8 1.3 -1.1 2 1.3 0.9 -0.4 1.7 -0.8 -0.1 3.2
2002 -1.3 1.7 -0.2 2.6 -0.2 -2 -2.4 -0.6 5.1 4.2 0.9 0 7.7
2003 0.6 -1.2 2.6 0.4 1.7 1.1 -0.9 -0.2 1.2 1.3 -0.4 0.3 6.7
2004 -1.1 1.1 0.9 -1.3 0 -1.2 -0.4 1 1.6 0.6 1.5 -0.4 2.2
2005 0.5 1 -0.3 0.4 0 0.4 0 0 0.9 0 1.1 -0.4 3.7
2006 0.8 1.3 -0.1 0.1 2.3 1.3 -0.5 0.7 0.9 -0.8 -0.2 0.2 6.3
2007 -0.2 -0.5 0 -0.2 -0.3 -0.3 0.3 0.8 1.1 -3.2 0.7 -1.1 -3
2008 1.1 -3.2 3.5 3.8 0.1 -1 -1.2 -0.7 -0.5 2.7 -8.3 2.7 -1.5
2009 -2.5 0.1 3.7 2.1 1.3 0.3 -0.9 -2.4 -2.9 -2.4 1.8 -0.9 -3
2010 1.1 1.4 1.3 -1.1 -2.3 0.2 0.2 2.4 0.6 -0.1 1.9 0.2 5.8
2011 1.4 -2.1 0.4 -0.5 -1.4 1.6 0.4 -1 -1.7 -2.2 -0.7 0.4 -5.2
2012 1.3 0.1 -0.2 0.2 -2.2 1.8 -0.1 0.2 -0.5 0.3 0.1 1.7 2.7
2013 0.7 -0.2 -0.1 -1.3 -0.9 -0.2 0.5 -0.9 0.9 -0.9 -0.2 0.1 -2.4
2014 -0.3 -1.6 1.6 0.9 0.4 0.4 -0.5 0.5 -1.8 1.2 -1.4 -0.9 -1.6
2015 -1.5 0.6 2.4 0.2 -1.2 0.3 1.8 -2.4 -1.3 0.4 0.7 -1.2 -1.1
2016 0.4 1 1.4 -0.6 -1.1 0.1 -0.6 -0.7 -0.6 -2.2 -0.3 -0.6 -3.8
2017 -2.8 1.1 0 -0.4 1.5 -0.1 1.2 1.4 -0.9 -1.6 0.1 -0.9 -1.7
2018 -0.1 0.4 1.3 -0.9 1.1 0 -0.2 0 -0.4 0.7 0.3 1.2 3.5
2019 0.1 0 1.3 -1 -2.8 0.2 -0.7 -0.1 -1.8 -0.8 0 0.2 -5.4
2020 -0.8 -0.2 -3.1 -2.3 0.3 -0.7 0.5 -0.2 0.1 0.3 0.7 0.8 -4.7
2021 0.9 1.8 -0.1 NA NA NA NA NA NA NA NA NA 2.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2000-05-26  56   SPY    138   0.0011  -0.0221  -0.0548   0.0138   0.0599       NA       NA <NA>     NA    NA       NA
2 2000-05-30  57.7 SPY    143.  0.0342   0.019   -0.0164   0.0384   0.1          NA       NA <NA>     NA    NA       NA
3 2000-05-31  57.6 SPY    143.  0.0007   0.0349  -0.0289   0.0316   0.0996       NA       NA <NA>     NA    NA       NA
4 2000-06-01  59.3 SPY    145.  0.0175   0.0361   0.0082   0.049    0.113        NA       NA <NA>     NA    NA       NA
5 2000-06-02  60.6 SPY    148.  0.0174   0.0725   0.0439   0.0476   0.110        NA       NA <NA>     NA    NA       NA
6 2000-06-05  61.5 SPY    147. -0.0049   0.0661   0.0375   0.0523   0.102        NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart